Derivatives: models on models

This book takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book.

Nassim Taleb on black swans -- Ch. 1. The discovery of fat-tails in price data -- Edward Thorp on gambling and trading -- Ch. 2. Option pricing and hedging from theory to practice : know your weapon III -- Alan Lewis on stochastic volatility and jumps -- Ch. 3. Back to basics : a new approach to the discrete dividend problem -- Emanuel Derman the Wall Street quant -- Ch. 4. Closed form valuation of American barrier options -- Peter Carr, the Wall Street wizard of option symmetry and volatility -- Ch. 5. Valuation of complex barrier options using barrier symmetry -- Granger on cointegration -- Ch. 6. Knock-in/out Margrabe -- Stephen Ross on APT -- Ch. 7. Resetting strikes, barriers and time -- Bruno Dupire the stochastic Wall Street quant -- Ch. 8. Asian pyramid power -- Eduardo Schwartz : the yoga master of mathematical finance -- Ch. 9. Practical valuation of power derivatives -- Aaron Brown on gambling, poker and trading -- Ch. 10. A look in the antimatter mirror -- Knut Aase on catastrophes and financial economics -- Ch. 11. Negative volatility and the survival of the western financial markets / Knut K. Aase -- Elie Ayache on option trading and modeling -- Ch. 12. Frozen time a…